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Effects of macroeconomic uncertainty on the stock and bond markets

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Author

Summary, in English

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high. (C) 2015 Elsevier Inc. All rights reserved.

Publishing year

2015

Language

English

Pages

10-16

Publication/Series

Finance Research Letters

Volume

13

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • DCC-MIDAS model
  • GARCH-MIDAS model
  • Macroeconomic uncertainty index
  • Stock-bond correlation
  • Stock volatility
  • Bond volatility

Status

Published

ISBN/ISSN/Other

  • ISSN: 1544-6123